MIDI is numerical values that represents notes of music up and down the say - musical keyboard. If you have a MIDI out connector on the synth you bought then you need a MIDI connector into your computer to play the keyboard as a MIDI instrument. Usually a synth also has audio outputs that output the sound that comes from your synth so you can audio record (like making a *.mp3 file from another source) by creating audio tracks in the DAW (or Digital Audio Workstation - your computer and hookups to make music).
You can not make audio except by recording live playing the instrument onto a recording track in the program or else by creating a MIDI file and using a soft synth on the computer (MC) and using the MIDI track to play it back as an audio track after converting the midi track to an audio track.
In the program you can use different drivers in the Audio menu item under Options, there are Windows drivers, like MME, or WDM/KS or the other one but ASIO is the best because it accounts for latency in an audio recording but you need ASIO drivers for the audio/interface where the ASIO4All is a generic may or may not work driver depending on the audio interface (which would include sound cards not really made to be an audio/interface for good recordings unless it allows that and not all soundcards do - thus eventually needing a better made for it audio/interface).
The rest just about has been covered, but there are numerous ways to make a song by inputting midi values by the mouse on the computer using a Event List and editing that list, or Piano Roll view where you add notes to make up a song, or even by computer keyboard where you play a graphic image of a piano keyboard by clicking on musical notes on the graphic musical keyboard one at a time. A Piano Roll View can add more than one note at the same time by adding a note in the same time frame as the last note, and if liking Event List Viewer editing there also with adding values.
Well, that is just a basic overview, and perhaps you synth manual has more on Midi inside the manual as to what value corresponds to what control number you want or note number you want to add.
The only way to learn is to read until it sinks into your head, which may take awhile at first, but eventually you will have it sink into your head and still probably have questions but like a reference book, you can find out all about it, probably searching on the Internet, and reading the manual that came with the synth and learning it in the end.
Learning it may take some time, but then it is not a school course where you will probably forget a lot of things a few years more in the future, because it will stick with you because that is what will happen learning how to record using digital equipment like a computer and audio/interface, keyboard or even guitar or whatever musical instrument or doing it with midi values.